Blogging Options: CBOE Morning Update

Volatility as an asset class

Mattel (MAT) is up $1.30 to $36.72 in the premarket after reporting Q3 EPS $1.04, compared to consensus 99c. Overall option implied volatility of 40 is above its 26-week average of 25.

Johnson & Johnson (JNJ) is up 70c to $69.30 in the premarket after reporting Q3 revenue of $17.1B, compared to consensus $16.95B. Overall option implied volatility of 13 is near its 26-week average of 14.

Goldman Sachs (GS) is recently up 31c to $124.81 in the premarket after reporting Q3 EPS $2.85, compared to consensus $2.12. Overall option implied volatility of 28 is near its 26-week average of 29.

Coca-Cola (KO) is recently up 10c to $38.23 in the premarket after reporting Q3 comparable EPS 51c, consensus 50c. Overall option implied volatility of 17 is near its 26-week average of 16.

CBOE Volatility Index (VIX) closed at 15.27, below its 10-day moving average of 15.47 and 50-day MA of 15.40.

Calls with increasing volume at CBOE;

S 1/19/2013 6 15K contracts
XLF 11/17/2012 16 13K
SPY 11/17/2012 150 13K
BAC 11/17/2012 10 10K
INTC 10/20/2012 22.5 10K
S 1/18/2014 10 9K
AAPL 10/20/2012 630 7K

U.S. stocks are mixed on inline corporate results. Overseas stocks higher as well. Industrial Production up 0.4%, beating estimates. Q3 IP was off 0.9%. CPI up 0.6%, in-line. UNH, newest DJ component shows good Q results, helping averages before opening. Citi boss surprise resignation has some perplexed.

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